Finite chain approximation for a continuous stochastic control problem

DOI10.1109/TAC.1981.1102608zbMath0472.93080OpenAlexW2064173569MaRDI QIDQ3927170

Vivek S. Borkar, Pravin P. Varaiya

Publication date: 1981

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/tac.1981.1102608

zbMATH Keywords

continuous stochastic control problemfeedback policiesfinite chain approximationfinite state Markov systemfinitely switched (FS) policiesMarkov programming methodsone-dimensional nonlinear stochastic system

Mathematics Subject Classification ID

Nonlinear systems in control theory (93C10) Markov and semi-Markov decision processes (90C40) Stochastic systems in control theory (general) (93E03)

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